The Research Of Calendar Spread Arbitrage On CSI300Stock Index Future

This paper analyzes the principle and methods of calendar spreadarbitrage of CSI300stock index futures. Based on the trading data of CSI300stock index futures daily contract of current and next month from June2010to January2012, with15minutes as a trading period, an empiricalresearch is conducted using the method of calendar spread arbitrage.Moving average method is adopted in the research. The average closingprice of the earliest20trading periods is used as reasonable spread. Price oftwo standard deviations from reasonable spread is used as opening price andprice of one standard deviation from reasonable spread as closing price. With0.007percent trading fees, an annual28.22%return is achieved. The annualreturn is at least20%even in strictly conservative situation. The averagemonthly return is2.09%with only one month in twenty months exhibits noreturn and no loss is suffered during the whole periods.The result proves that, calendar spread arbitrage of CSI300stock indexfutures is only suitable for medium and small investors. If more than one billion RMB enters the market, the return from the arbitrage will besignificantly reduced.